Dynamic survival models with varying coefficients for credit risks.

DOI10.1016/J.EJOR.2018.11.029zbMath1431.91410OpenAlexW2900798292WikidataQ128880144 ScholiaQ128880144MaRDI QIDQ1711479

Viani Biatat Djeundje, Jonathan N. Crook

Publication date: 18 January 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.pure.ed.ac.uk/ws/files/76858705/1_dynamic_sm_update8.pdf

zbMATH Keywords

splinesrisk analysismultivariate statisticsrisk managementOR in banking

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12) Credit risk (91G40)

Related Items (9)

MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS ⋮ Promoting variable effect consistency in mixture cure model for credit scoring ⋮ Joint models for longitudinal and discrete survival data in credit scoring ⋮ Tree-based modeling of time-varying coefficients in discrete time-to-event models ⋮ A prediction-driven mixture cure model and its application in credit scoring ⋮ Identifying hidden patterns in credit risk survival data using generalised additive models ⋮ A class of categorization methods for credit scoring models ⋮ Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods

Uses Software

• R
• SAS
• SemiPar
• mgcv
• gamair

Cites Work

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